Threshold quantile autoregressive models
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- Antonio F. Galvao Jr. & Gabriel Montes‐Rojas & Jose Olmo, 2011. "Threshold quantile autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(3), pages 253-267, May.
References listed on IDEAS
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Citations
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Cited by:
- Lijuan Huo & Tae-Hwan Kim & Yunmi Kim, 2013.
"Testing for Autocorrelation in Quantile Regression Models,"
Working papers
2013rwp-54, Yonsei University, Yonsei Economics Research Institute.
- Lijuan Huo & Tae-Hwan Kim & Yunmi Kim & Dong Jin Lee, 2014. "Testing for Autocorrelation in Quantile Regression Models," Working papers 2014rwp-76, Yonsei University, Yonsei Economics Research Institute.
- Christis Katsouris, 2023. "Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates," Papers 2302.05193, arXiv.org.
- Tang, Yanlin & Song, Xinyuan & Zhu, Zhongyi, 2015. "Threshold effect test in censored quantile regression," Statistics & Probability Letters, Elsevier, vol. 105(C), pages 149-156.
- Liu Xiaochun & Luger Richard, 2018. "Markov-switching quantile autoregression: a Gibbs sampling approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(2), pages 1, April.
- Yunmi Kim & Lijuan Huo & Tae-Hwan Kim, 2020. "Dealing with Markov-Switching Parameters in Quantile Regression Models," Working papers 2020rwp-166, Yonsei University, Yonsei Economics Research Institute.
- Chavas, Jean-Paul & Grainger, Corbett & Hudson, Nicholas, 2016. "How should economists model climate? Tipping points and nonlinear dynamics of carbon dioxide concentrations," Journal of Economic Behavior & Organization, Elsevier, vol. 132(PB), pages 56-65.
- Chung-Ming Kuan & Christos Michalopoulos & Zhijie Xiao, 2017. "Quantile Regression on Quantile Ranges – A Threshold Approach," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(1), pages 99-119, January.
- Neil Foster-McGregor & Anders Isaksson & Florian Kaulich, 2013. "Importing, Productivity and Absorptive Capacity in Sub-Saharan African Manufacturing Firms," wiiw Working Papers 105, The Vienna Institute for International Economic Studies, wiiw.
- Camille Aït-Youcef, 2019. "How index investment impacts commodities : A story about the financialization of agricultural commodities," Post-Print hal-03484371, HAL.
- Jack Fosten & Daniel Gutknecht & Marc-Oliver Pohle, 2023. "Testing Quantile Forecast Optimality," Papers 2302.02747, arXiv.org, revised Oct 2023.
- Cathy Chen & Richard Gerlach, 2013. "Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity," Computational Statistics, Springer, vol. 28(3), pages 1103-1131, June.
- Tae-Hwan Kim & Dong Jin Lee & Paul Mizen, 2020. "Impulse Response Analysis in Conditional Quantile Models and an Application to Monetary Policy," Working papers 2020rwp-164, Yonsei University, Yonsei Economics Research Institute.
- Galvao, Antonio F. & Montes-Rojas, Gabriel & Olmo, Jose, 2009. "Quantile Threshold Effects in the Dynamics of the Dollar/Pound Exchange Rate," The Journal of Economic Asymmetries, Elsevier, vol. 6(2), pages 69-82.
- Junho Lee & Ying Sun & Huixia Judy Wang, 2021. "Spatial cluster detection with threshold quantile regression," Environmetrics, John Wiley & Sons, Ltd., vol. 32(8), December.
- Montes-Rojas, Gabriel, 2017. "Reduced form vector directional quantiles," Journal of Multivariate Analysis, Elsevier, vol. 158(C), pages 20-30.
- Martins, Luis F., 2021. "The US debt–growth nexus along the business cycle," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- Christis Katsouris, 2023. "Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors," Papers 2305.00860, arXiv.org, revised May 2023.
- Jean-Paul Chavas & Salvatore Falco, 2017. "Resilience, Weather and Dynamic Adjustments in Agroecosystems: The Case of Wheat Yield in England," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 67(2), pages 297-320, June.
- Olivier Damette & Beum-Jo Park, 2015. "Tobin Tax and Volatility: A Threshold Quantile Autoregressive Regression Framework," Review of International Economics, Wiley Blackwell, vol. 23(5), pages 996-1022, November.
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Keywords
nonlinear models; quantile regression; threshold models;All these keywords.
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